𝔖 Bobbio Scriptorium
✦   LIBER   ✦

The Binomial Black–Scholes model and the Greeks

✍ Scribed by San-Lin Chung; Mark Shackleton

Book ID
102216761
Publisher
John Wiley and Sons
Year
2002
Tongue
English
Weight
149 KB
Volume
22
Category
Article
ISSN
0270-7314

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✦ Synopsis

Abstract

This article returns to the choice of method for calculating option hedge ratios discussed by Pelsser and Vorst (1994). Where they demonstrated that numerical differentiation of a binomial model compared poorly to their design of an extended tree, this study shows that the Binomial Black–Scholes method advocated by Broadie and Detemple (1996) does not suffer from the same problem; therefore, it is very effective in the calculation of the Greeks. © 2002 John Wiley & Sons, Inc. Jrl Fut Mark 22:143–153, 2002

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